[pt] O Modelo Média-Variância, proposto por Markowitz para resolver o problema de estruturação ótima de carteiras de investimentos, utiliza uma medida simétrica de risco, o desvio padrão dos retornos. Contudo, a grande utilização no mercado financeiro de ativos com retornos assimétricos levou ao desenvolvimento de medidas de risco assimétricas, como a semivariância e o downside risk, buscando quantificar de forma mais precisa a percepção de risco investidor. Neste trabalho, comparamos algumas metodologias para estruturar carteiras de investimentos contendo ativos com retornos assimétricos. / [en] The Mean-Variance model for asset allocation, proposed by Markowitz, use a symmetric risk measure, the standard deviation of returns. Although, because of the increasing use of financial instruments with asymmetric payoffs, asymmetric risk measures, as semivariance and downside risk, have been required in order to quantify the investor´s perception of risk as accurately as possible. So, we compare in this work several methodologies to structures optimal portfolios containing securities with asymmetric returns.

本篇論文主要是將Black-Litterman模型應用在組合型基金上。從一個組合型基金的基金經理人角度出發，在有限的風險下，如何進行資產配置使其達到報酬極大化的目標？第二章介紹mean-variance模型，以及其模型之缺點。第三章介紹Black-Litterman模型，其不僅可以改善mean-variace模型的缺點，此外允許投資人加入主觀看法，結合數量方法以及投資人的主觀看法是此模型的特色之一。第四章，針對兩個模型的進行比較。最後，我們發現：BLack-Litterman模型不僅符合經濟直覺，進行資產配置時也展現模型的穩定性。 / This paper applies a popular asset allocation model: the Black-Litterman model on a fund of funds. First, an overview is given of the foundations of modern portfolio theory with the mean-variance model. Next, we discuss some improvements that could be made over the mean-variance model. The Black-Litterman model addresses some of these flaws and tries to improve them. Finally, simulation has been performed to compare the performance of the Black-Litterman model to mean-variance optimization. The models have been compared in intuitiveness and stability. The conclusion can be drawn that BL-model improves the mean-variance model, in our simulation, both in intuitiveness and stability.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-09-02T14:39:05Z No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-09-06T14:17:29Z (GMT) No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) / Made available in DSpace on 2016-09-06T14:17:29Z (GMT). No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) Previous issue date: 2013-11-25 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Esta dissertação propõe uma nova versão para o CAPM, denominada Ômega CAPM. Este novo modelo trabalha com uma condição suficiente mais simples do que a eficiência do mercado em termos de média e variância. Consequentemente, restrições na utilidade e nas distribuições de retornos não são necessárias, podendo os ativos ter distribuições diferentes entre si. Além disso, todos os momentos das distribuições de retornos são considerados de forma indireta, ou seja, não precisam ser calculados e observados pelos investidores. O OCAPM mantem a forma simples de um único fator do CAPM, bem como seu rigor teórico. Empiricamente o OCAPM mostrou-se superior ao CAPM, não sendo rejeitado em um número maior de vezes, além de obter coeficientes mais coerentes com a teoria. Além disso, foi mostrado que o OCAPM adiciona novas informações sobre os retornos esperados não consideradas pelo CAPM. Entretanto, este trabalho não rejeita nenhum dos dois modelos, ele apenas aponta a superioridade do OCAPM. / This dissertation proposes a new version for the well-known CAPM, the Omega CAPM. This new model has a simpler sufficient condition than the mean-variance efficiency required on the CAPM. Thus, restriction regarding utility functions and returns distributions are not required. Besides that, our model allows assets to have different distribution amongst themselves. The OCAPM considers all superior moments indirectly, i.e. they do not have to be calculated or observed by investors and it maintains the single factor simplicity and the theoretical rigor of the original model. On an empirical point of view, the OCAPM was superior to the CAPM, the model obtained coefficients which ware more consistent with the theory. Moreover, we showed that the OCAPM adds information of the expected returns that are not considered by the CAPM. Nevertheless, we do not reject any of the models, we just show that the OCAPM is superior.

This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.